Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices
Roberto Rigobon and
Brian Sack
No 12420, NBER Working Papers from National Bureau of Economic Research, Inc
Abstract:
The current literature has provided a number of important insights about the effects of macroeconomic data releases on monetary policy expectations and asset prices. However, one puzzling aspect of that literature is that the estimated responses are quite small. Indeed, these studies typically find that the major economic releases, taken together, account for only a small amount of the variation in asset prices—even those closely tied to near-term policy expectations. In this paper we argue that this apparent detachment arises in part from the difficulties associated with measuring macroeconomic news. We propose two new econometric approaches that allow us to account for the noise in measured data surprises. Using these estimators, we find that asset prices and monetary policy expectations are much more responsive to incoming news than previously believed. Our results also clarify the set of facts that should be captured by any model attempting to understand the interactions between economic data, monetary policy, and asset prices.
JEL-codes: E44 E47 E52 (search for similar items in EconPapers)
Date: 2006-08
New Economics Papers: this item is included in nep-cba, nep-fmk, nep-mac and nep-mon
Note: AP IFM ME
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)
Published as Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices , Roberto Rigobon, Brian Sack. in Asset Prices and Monetary Policy , Campbell. 2008
Downloads: (external link)
http://www.nber.org/papers/w12420.pdf (application/pdf)
Related works:
Chapter: Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices (2008) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:12420
Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w12420
Access Statistics for this paper
More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().